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A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, Sepideh - 2017

price discovery in the spot and futures markets for five non-ferrous metals (aluminum, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …

Persistent link: https://www.econbiz.de/10012946789

Price discovery an volatility spillover in the agricultural commodity futures market in India

Kumar, M. Ajoy; Shollapur, M. R. - In: The IUP journal of applied finance : IJAF 21 (2015) 1, pp. 54-70

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Fractional integration in agricultural futures price volatilities

Jin, Hyun J.; Frechette, Darren L. - In: American journal of agricultural economics 86 (2004) 2, pp. 432-443

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Three essays on market microstructure and price formation in agricultural commodity futures

Volkenand, Steffen - 2020

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Analysis of lead-lag relationship and volatility spillover : evidence from Indian agriculture commodity markets

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Price discovery process in Nifty spot and futures markets

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Price discovery in spot and futures markets : a reconsideration

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Who has the final say? : market power versus price discovery in China's sugar spot and futures markets

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Role of futures market in price discovery

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Effectiveness of the management of price risk methodologies for the corn market based on trading signals

Rossouw, Werner; Young, J. - In: Risk governance & control : financial markets & institutions 3 (2013) 1, pp. 7-17

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